Maringer, Dietmar; Winker, Peter - Society for Computational Economics - SCE - 2004
depend strongly on the specification of the model dynamics. We propose a method for automatic identification of the dynamic … part of VEC-models. Model selection is based on a modified information criterion. The lag structure of the model is … selection in the VEC-model. The results indicate that the selection of the cointregation rank might depend strongly on the …